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On B-robust instrumental variable estimation of the linear model with panel data

  • Wagenvoort, Rien
  • Waldmann, Robert

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File URL: http://www.sciencedirect.com/science/article/B6VC0-44HSXYX-5/2/52c657d8add969f37378cde54e0c7ac8
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 106 (2002)
Issue (Month): 2 (February)
Pages: 297-324

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Handle: RePEc:eee:econom:v:106:y:2002:i:2:p:297-324
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
  2. Griliches, Zvi & Hausman, Jerry A., 1986. "Errors in variables in panel data," Journal of Econometrics, Elsevier, vol. 31(1), pages 93-118, February.
  3. Craig Burnside & Martin Eichenbaum, 1994. "Small sample properties of generalized method of moments based Wald tests," Working Paper Series, Macroeconomic Issues 94-12, Federal Reserve Bank of Chicago.
  4. Hinloopen, Jeroen & Wagenvoort, Rien, 1997. "On the computation and efficiency of a HBP-GM estimator some simulation results," Computational Statistics & Data Analysis, Elsevier, vol. 25(1), pages 1-15, July.
  5. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
  6. Krasker, William S, 1986. "Two-Stage Bounded-Influence Estimators for Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 437-44, October.
  7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  8. Jaya Krishnakumar, 1995. "A General Methodology of Robust Estimation for Panel Data Models," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 95.02, Institut d'Economie et Econométrie, Université de Genève.
  9. White, Halbert, 1982. "Instrumental Variables Regression with Independent Observations," Econometrica, Econometric Society, vol. 50(2), pages 483-99, March.
  10. Wouter J. den Haan & Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
  11. Krasker, William S & Welsch, Roy E, 1985. "Resistant Estimation for Simultaneous-Equations Models Using Weighted Instrumental Variables," Econometrica, Econometric Society, vol. 53(6), pages 1475-88, November.
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